Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0283
Annualized Std Dev 0.2921
Annualized Sharpe (Rf=0%) 0.0967

Row

Daily Return Statistics

Close
Observations 4933.0000
NAs 1.0000
Minimum -0.1017
Quartile 1 -0.0088
Median 0.0009
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0096
Maximum 0.1155
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0184
Skewness 0.0451
Kurtosis 3.8434

Downside Risk

Close
Semi Deviation 0.0131
Gain Deviation 0.0129
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0129
Downside Deviation (0%) 0.0129
Maximum Drawdown 0.7795
Historical VaR (95%) -0.0302
Historical ES (95%) -0.0431
Modified VaR (95%) -0.0283
Modified ES (95%) -0.0424
From Trough To Depth Length To Trough Recovery
2001-07-16 2002-10-08 2015-05-28 -0.7795 3470 290 3180
2019-04-25 2020-03-23 2021-01-07 -0.3710 431 230 201
2015-06-19 2016-02-09 2016-09-22 -0.2530 319 162 157
2018-09-04 2018-12-24 2019-02-22 -0.2164 118 78 40
2021-02-16 2021-03-04 NA -0.1013 25 13 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA 2.2 -2.2 -3.1 1.7 -1.2 0.1 -2.5
2002 -2.2 5.3 2 -1.1 2.2 -5 -2.2 0.2 4.9 3.8 -0.1 1.8 9.5
2003 -2.3 0.8 0.7 -0.4 0.8 2.9 0.8 -0.7 0.4 -0.6 1 0.2 3.6
2004 3.4 0.8 2.1 -4 0.4 -2.6 0.1 1 2.8 -0.4 2.1 -0.2 5.6
2005 0 2 -1.2 0.2 1.4 0.3 0.1 -0.4 0.7 -0.8 2.2 -0.7 3.8
2006 1.4 4.2 -0.7 -0.9 3 -0.1 -2.7 -0.2 0 -1.5 -1.5 -0.3 0.5
2007 0.3 -0.8 0.8 0.2 0.6 0.7 0.9 1.2 1.2 -2.4 -0.8 -0.8 0.8
2008 1.5 -3 3.5 1.6 1.1 0.5 -0.4 -1.8 -2.5 -0.6 -8.1 3.3 -5.4
2009 -3.2 -1 4.3 0.8 4.2 0.9 -0.5 -2.1 -3.4 -3.3 2.2 -0.7 -2.4
2010 1.6 1.2 -0.5 -2.1 -3.7 -0.9 -0.9 2.9 0 -0.8 2 -0.2 -1.5
2011 1.4 -1.5 -2.4 -0.3 -3.6 1.8 -1.4 -0.6 -2.9 -3.4 -0.5 -0.3 -12.9
2012 1.7 0.2 0.4 -0.4 -3 2.9 -0.4 0 -0.5 3.8 0.2 1.6 6.5
2013 0.3 -0.5 -1.2 -2.5 -0.9 0.3 1.4 -1.1 1.2 -0.6 0.2 0.4 -3
2014 -1.5 -0.7 2 -0.6 -0.6 0.6 -1.6 0.7 -1.6 1.3 -0.8 -0.9 -3.7
2015 -2.1 0.1 -0.8 1 0 0.6 0.5 -2.1 -0.3 0.1 0.5 -0.3 -2.9
2016 0.1 1.2 -0.4 -0.9 0.4 -0.3 -0.2 1.2 0.7 -0.2 -1.7 -0.5 -0.7
2017 -0.2 -1.1 -0.2 0.2 3.9 -0.3 0.8 0.9 0.6 0 -0.7 -0.2 3.9
2018 0.7 -1.4 2.1 -1.2 1.5 0.4 -0.2 0.4 -1.6 2.8 0.4 1 5
2019 0.5 0.1 2 -0.9 -2.3 1.4 -1.7 -0.1 -3.6 -1.3 -0.1 0.3 -5.7
2020 -2.4 -0.8 -4.2 -3.6 0.7 -1.7 0.8 0.5 0.5 -0.6 0.5 0.3 -9.5
2021 2.7 3.3 0.1 NA NA NA NA NA NA NA NA NA 6.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart